I'm very new to Spades, and am trying to grasp the basic strategy. In the few games that I've played so far, I've been sort of paranoid about bagging out; 100 points seems like a lot to lose. (Of course, I might be wrong about that.) Because of this, I've ended up overbidding several times in order to avoid bags. So, I was wondering, how important is it for me to avoid overtricks and bagging out?
What's the alternative to bagging out? If you over bid, you risk losing the number of points of your bid. If you under bid, you have a good chance of making your bid, and any bags are effectively minus points for that hand, but you still get the points for your hand.
For example, a bid of 9 that doesn't make it sets you back 90 points. A bid of 5 with 3 bags effectively nets you 20 points. So what's better, -90 points, or 20 points?
One flip side of under bidding is that you might make your opponents over bid, causing them to go set.
In general, you are better off bidding accurately or 1 books under so you can make your bid and get positive points (rather than getting set and taking negative points). So yes, in general some small amount of bags is better than getting set. As stated in other answers, there are statistical dynamics that depend on what score you are playing to (300, 500, etc.) so you have to strategize each round to prevent bagging out (-100) or anticipate it. Over-bidding is not a winning strategy - and it's unlikely to lead to wins. The real art of Spades is learning how to bid Well! The more you play, the more you learn.
Bags are, on average, worth not quite -10 points. They're positive points until you get 10, and unless you get an exact multiple of 10, not all of them are turning negative. Also, it's important to keep in mind that this is the average. Later in the game, you can look at the situation to better judge how dangerous bags are. If you're close to winning and don't have any bags, it's safe to underbid, but if you have 9, then it's more important to bid precisely.
Depending on the rules you're playing with, there are different risks you can afford. If you're playing up to 300 (or less) points, chances of a bagging penalty are slim if you bid for what you have, especially as a beginning player. You can always adjust your bidding strategy after taking 3-4 bags and still make it without the penalty. When playing for 500 points, you'll want to aim your bids more carefully.
If you find yourself bidding too low, don't forget to throw away some spades or high cards after you hit your bid. This can cause the opponent to take bags, which is usually a good thing.
When playing with a blind nil rule, it can be entirely ok to take the penalty points every once in a while. Just play into a scenario where if you take the penalty, you would be somewhere between 100 and 110 points behind. Then you would immediately qualify for blind nil and play break-even while claring all your bag points (assuming you succesfully complete the bnil).
You should always bid your hand and hopefully the sum of all bids is 13. If the sum is less than 13, you and your partner should try to give the bags to your opponents. It can be very difficult to overcome a loss of a hundred points, therefore it is very important not to collect that tenth bag. Nine bags is fine, but stressful. On 10 point scale of things to avoid, I would say it is a 9.